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Include MLE estimation of tau_0 and sigma_2 #524

Merged
merged 13 commits into from
Mar 5, 2024
Merged

Include MLE estimation of tau_0 and sigma_2 #524

merged 13 commits into from
Mar 5, 2024

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lionelvoirol
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@lionelvoirol lionelvoirol commented Feb 27, 2024

  • Added fcts ar1_sim_geneva(), n_ll_unevenly_spaced_ar1() and ar1fit_m()l in file tsmodel.py
  • Created 2 tests to ensure MLE estimation works fine with evenly and unevenly spaced AR1.
  • Added time_increments() to tsmodel.py, together with tests
  • eventually, the surrogate method ar1sim will point to ar1_sim_geneva(), and the current one will be relabeled ar1old for benchmarking purposes.
  • For now functionalities are unaccessible from the user API ; waiting on General surrogates #228 to be completed (in stages)

CommonClimate and others added 4 commits February 26, 2024 10:34
enable uar1 option for PSD.signif_test(); CI test TODO
…estimation functions in test_utils_tsmodel.py
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I fixed import issues in tsmodel and renamed functions as appropriate.

One remaining difference is that ar1_sim_geneva is not vectorized (it generates one version of y at a time, not an (n x p) array as ar1_sim does. For MC applications, it’s usually more efficient to vectorize, so I request that capability.

It should be easy for you to enable and test (e.g. the averages of estimated tau and sigma2 over the p realizations should be even closer to the true values).

CommonClimate and others added 2 commits February 28, 2024 10:38
…th ar1_sim_geneva() and ability to specify distribution of the delta_t and relevant parameters, added various checks on parameters of ar1_sim_geneva(), modified test test_ar1fit_ml() to adapt to new parametrization
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Thanks for these changes Lionel! I decided to pull out the part generating time increments to a dedicated function, as we might use it for something else.

@CommonClimate CommonClimate merged commit 6d5f02f into master Mar 5, 2024
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@CommonClimate CommonClimate deleted the ar1fit branch November 15, 2024 20:03
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2 participants